This tale is not complete, in fact this could barely be called an introduction to tale. To give some background, we have a main character named Makar Tretiakov, whom is a captain of Internal Affairs in the Russian Imperial Empire under the rule of Emperor Nicholas II of Russia. The beginning is obviously showing how Tretiakov dies, but the rest tells the story of his life, mainly his life as part of "The Foundation". Any and all constructive critique is appreciated!

I see you are using a in medias res approach with this, starting from the end of your narrator's life and going into his past.

The first three have hardly nothing to do with the Foundation, excluding a small mention at the end of the third part that is only there to bridge into the fourth (Foundation-centric) part. The plot of the first three parts is essentially a story of late Imperial Russia, and feels very diffused from a Foundation-verse Tale.

Speaking of the mention of the Foundation in the third part, it feels very weak. The Tsar is facing civic unrest and he's allowing his most competent protectors to go undercover in some maybe-neutral organisation and not protecting the House of Romanov from Communists and other left-wings. If anything, the Foundation comes off as being forced upon to make the Tale a Foundation-verse related story.

While it might not be clear, the reason Tretiakov was sent in was because without his knowledge the Tsar was planning on using him as a sleeper agent and hopefully bring back some skips for the Empire to use to crush the rebellion. I haven't reached that point yet because I'd like to build up to it.

To that, I would question what would be deemed worthy to be taken from the Foundation. From the way you write your response above ("hopefully bring back some skips"), it feels like Tretiakov is supposed to take whatever he feels is useful to crush the Bolsheviks. However, if the Tsar sent him there deliberately, it is likely that they have something more concrete in mind. Besides, a mission of "get whatever you feel works for us" speaks volumes of not planning ahead.

And if we look at the apparent conflict of the story (the Bolshevik uprising), why would anomalous objects do the job that guns and military force cannot do? Both can be used to suppress rebellion, but what advantage does the former have over the latter?

I haven't reached that point yet because I'd like to build up to it.

Even so, the beginning does not incite much interest for readers to carry on. A Russian spy sent to infiltrate the Foundation is hardly a novel premise for a story, even if it were Imperial Russia. Besides, the third part's mention of "on behalf of the Empire" already connotes this supposed buildup that reinstating in a more obvious way would be a waste of plot elements.

The Tsar does infact have an idea on some of the skips he'd like, most of which consist of mostly non-sentient skips, such as SCP-008 because of its "zombifying" abilities. Through, as far as Tretiakov is concerned he's only there for intel on The Foundation and was told to obtain anything he might find useful in putting down the rebellion, because it has become increasingly hard for the military to put down the rebellion.

Honestly, the beginning is a little boring but I plan on kicking it back into real time so that the story is more developed and Tretiakov begins to have conflicting interests with the mission itself.